private void ProcessQuotesMessage(Security security, QuoteChangeMessage message, bool fromLevel1)
{
if (MarketDepthChanged != null || MarketDepthsChanged != null)
{
var marketDepth = GetMarketDepth(security);
message.ToMarketDepth(marketDepth, GetSecurity);
if (_subscriptionManager.IsFilteredMarketDepthRegistered(security))
GetFilteredMarketDepthInfo(security).Process(message);
RaiseMarketDepthChanged(marketDepth);
}
else
{
lock (_marketDepths.SyncRoot)
{
var info = _marketDepths.SafeAdd(security, key => new MarketDepthInfo(EntityFactory.CreateMarketDepth(security)));
info.First.LocalTime = message.LocalTime;
info.First.LastChangeTime = message.ServerTime;
info.Second = message.Bids;
info.Third = message.Asks;
}
}
var bestBid = message.GetBestBid();
var bestAsk = message.GetBestAsk();
if (!fromLevel1 && (bestBid != null || bestAsk != null))
{
var values = GetSecurityValues(security);
var changes = new List<KeyValuePair<Level1Fields, object>>(4);
lock (values.SyncRoot)
{
if (bestBid != null)
{
values[(int)Level1Fields.BestBidPrice] = bestBid.Price;
changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestBidPrice, bestBid.Price));
if (bestBid.Volume != 0)
{
values[(int)Level1Fields.BestBidVolume] = bestBid.Volume;
changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestBidVolume, bestBid.Volume));
}
}
if (bestAsk != null)
{
values[(int)Level1Fields.BestAskPrice] = bestAsk.Price;
changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestAskPrice, bestAsk.Price));
if (bestAsk.Volume != 0)
{
values[(int)Level1Fields.BestAskVolume] = bestAsk.Volume;
changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestAskVolume, bestAsk.Volume));
}
}
}
RaiseValuesChanged(security, changes, message.ServerTime, message.LocalTime);
}
if (UpdateSecurityLastQuotes)
{
var updated = false;
if (!fromLevel1 || bestBid != null)
{
updated = true;
security.BestBid = bestBid == null ? null : new Quote(security, bestBid.Price, bestBid.Volume, Sides.Buy);
}
if (!fromLevel1 || bestAsk != null)
{
updated = true;
security.BestAsk = bestAsk == null ? null : new Quote(security, bestAsk.Price, bestAsk.Volume, Sides.Sell);
}
if (updated)
{
security.LocalTime = message.LocalTime;
security.LastChangeTime = message.ServerTime;
RaiseSecurityChanged(security);
// стаканы по ALL обновляют BestXXX по конкретным инструментам
if (security.Board.Code == AssociatedBoardCode)
{
var changedSecurities = new Dictionary<Security, RefPair<bool, bool>>();
foreach (var bid in message.Bids)
{
if (bid.BoardCode.IsEmpty())
continue;
var innerSecurity = GetSecurity(new SecurityId
{
SecurityCode = security.Code,
BoardCode = bid.BoardCode
});
var info = changedSecurities.SafeAdd(innerSecurity);
if (info.First)
continue;
info.First = true;
innerSecurity.BestBid = new Quote(innerSecurity, bid.Price, bid.Volume, Sides.Buy);
innerSecurity.LocalTime = message.LocalTime;
innerSecurity.LastChangeTime = message.ServerTime;
}
foreach (var ask in message.Asks)
{
if (ask.BoardCode.IsEmpty())
continue;
var innerSecurity = GetSecurity(new SecurityId
{
SecurityCode = security.Code,
BoardCode = ask.BoardCode
});
var info = changedSecurities.SafeAdd(innerSecurity);
if (info.Second)
continue;
info.Second = true;
innerSecurity.BestAsk = new Quote(innerSecurity, ask.Price, ask.Volume, Sides.Sell);
innerSecurity.LocalTime = message.LocalTime;
innerSecurity.LastChangeTime = message.ServerTime;
}
RaiseSecuritiesChanged(changedSecurities.Keys.ToArray());
}
}
}
if (CreateDepthFromLevel1)
GetBuilder(message.SecurityId).HasDepth = true;
CreateAssociatedSecurityQuotes(message);
}
private void UpdateIfDepthDirty()
{
IEnumerable <MarketDepthPair> top = null;
lock (_lastDepthSync)
{
if (_needToClear)
{
_needToClear = false;
top = Enumerable.Empty <MarketDepthPair>();
}
else if (_lastDepth != null)
{
top = _lastDepth.GetTopPairs(MaxDepth);
}
else if (_lastQuoteMsg != null)
{
top = _lastQuoteMsg.ToMarketDepth(_prevSecurity).GetTopPairs(MaxDepth);
}
_lastDepth = null;
}
if (top == null)
{
return;
}
var index = 0;
foreach (var pair in top)
{
var bid = _quotes[GetQuoteIndex(Sides.Buy, index)];
if (pair.Bid != null)
{
bid.Init(pair.Bid, _ordersRegistry.GetContainer(pair.Bid.Price), _stopOrdersRegistry.GetContainer(pair.Bid.Price) /*, trades.TryGetValue(pair.Bid.Price), myTrades.TryGetValue(pair.Bid.Price)*/);
bid.IsBest = index == 0;
}
else
{
bid.Init();
}
var ask = _quotes[GetQuoteIndex(Sides.Sell, index)];
if (pair.Ask != null)
{
ask.Init(pair.Ask, _ordersRegistry.GetContainer(pair.Ask.Price), _stopOrdersRegistry.GetContainer(pair.Ask.Price) /*, trades.TryGetValue(pair.Ask.Price), myTrades.TryGetValue(pair.Ask.Price)*/);
ask.IsBest = index == 0;
}
else
{
ask.Init();
}
index++;
}
for (var i = 0; i < (MaxDepth - index); i++)
{
_quotes[GetQuoteIndex(Sides.Buy, index + i)].Init();
_quotes[GetQuoteIndex(Sides.Sell, index + i)].Init();
}
}
